Model checks for nonlinear cointegrating regression
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Publication:1739588
DOI10.1016/j.jeconom.2018.08.002zbMath1452.62685OpenAlexW2888722683MaRDI QIDQ1739588
Ke Zhu, Qiying Wang, Dong Sheng Wu
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.08.002
weak convergencecointegrationnonlinear regressionspecification testingmarked empirical processmodel check
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Non-Markovian processes: hypothesis testing (62M07)
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